How do i get the skins to work?

What section did you download yor skin from? The skins library on the left has section names (Beatkik, Colorpad, Coolplayer, etc.). All these names correspond to a specific program you need to install. This site is a repository of skins that are made for a number of applications. You indeed need these appications to run the skins.
To find out where to download a required application, check on the top of the page in each section, you will find useful links.
Ex: in the Beatnik section:
Beatnik - A cool skinnable clock that also supports atomic clock synchronization.
Beatnik Website - Download - Help

skins are not self exacutable, you need to have the apropriated program installed in your machine to make it work.

paxx, your answer was by far batter then mine =Þ

I downloaded it from the Windows XP skins section. Can someone provide a link???

http://www.windowblinds.net